Open AccessEffect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market
Author(s) -
Taner Sekmen
Publication year - 2015
Publication title -
journal of economics and behavioral studies
Language(s) - English
Resource type - Journals
ISSN - 2220-6140
DOI - 10.22610/jebs.v7i3(j).579
Subject(s) - volatility (finance) , turkish , autoregressive conditional heteroskedasticity , subprime crisis , stock exchange , economics , stock (firearms) , stock market , subprime mortgage crisis , financial economics , monetary economics , econometrics , financial crisis , finance , geography , macroeconomics , linguistics , philosophy , context (archaeology) , archaeology
The aim of this paper is to investigate the return and volatility behaviors of the Turkish Stock Exchange in response to the mortgage crisis using daily observations for the period June 2004 to June 2014. The data are divided into three sub-periods to allow for the investigation of the behavior of the stock market during each sub-period. We employ the GARCH, EGARCH and GARCH-M models to capture volatility. The results indicate that the subprime crisis both induced a notable increase in volatility and changed the relationship between risk and expected return on the Turkish Stock Exchange.